OfficialMean-reversion

Bollinger Band Reversion — Microsoft strategy backtest

Buys a close under the lower Bollinger band and exits when price returns to the middle band

A curated strategy — a well-known mechanism with sensible risk management built in. Still not a recommendation — it's a mechanism you test yourself.

How this strategy works

• Buys when Close price is below Bollinger Band(20,2) lower.
• Sells when Close price is above Bollinger Band(20,2) mid.
• Uses a 10% stop-loss.
• Exits after 20 bars if still open.

Run this exact strategy yourself — pick a window:

Microsoft · 2016-09-14 → 2026-09-11 (2512 bars) · costs & slippage on · vs buy & hold

Drawdown — how far underwater you'd have been

Total return

+143.1%

Buy & hold +892.1%

vs Buy & Hold

-749 pts

lagged the benchmark

Max drawdown

-23.0%

worst peak-to-trough

CAGR

+9.3%

Win rate

80%

Profit factor

2.72

Sharpe

0.64

Trades

Time in market

15%

Best trade

+11.6%

Worst trade

-10.1%

Worst drawdowns · peak → trough	Depth	To trough	Underwater	Recovered
2020-03-02 → 2020-03-23	-23.0%	21d	681d	yes
2025-11-12 → 2026-03-27	-16.9%	135d	303d	still underwater
2022-01-12 → 2022-01-24	-11.5%	12d	56d	yes

How this is computed → (closed-bar, costs on, vs buy & hold — the full method.)

Past performance is not a reliable indicator of future results. This is an educational, analytical tool — not investment advice, and not a recommendation to buy or sell anything. You make all decisions and execute on your own broker.

Hypothetical performance disclaimer (CFTC Rule 4.41)

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.

How this backtest works

Data: Yahoo Finance / Binance daily OHLC, split-adjusted. Recomputed on each run.
Costs: Commission + tiered slippage on every fill. No leverage.
Execution: Signals act on the next open after a bar closes — never on a price you couldn't have known.
Look-ahead & survivorship: Indicators use closed bars only; the forming bar is dropped. Survivorship is labelled, not hidden.
Benchmark: Measured against buy & hold of the same asset over the same window.
What it isn't: Not advice, not a prediction, no profit claim. I hold no funds and place no orders.

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